MM_REGRESS: Stata module to compute robust regression estimates

Vincenzo Verardi and Christophe Croux ()
Additional contact information
Christophe Croux: K.U.Leuven, Faculty of Business and Economics

Statistical Software Components from Boston College Department of Economics

Abstract: In regression analysis, the presence of outliers in the data set can strongly distort the classical least squares estimator and lead to unreliable results. To deal with this, several robust-to-outliers methods have been proposed in the statistical literature. In Stata, some of these methods are available through the commands rreg and qreg. Unfortunately, these methods only resist to some specific types of outliers and turn out to be ineffective under alternative scenarios. In this package we present more effective robust estimators that we implemented in Stata. We also present a graphical tool that allows recognizing the type of detected outliers.

Language: Stata
Requires: Stata version 10.0
Keywords: robust regression; outliers (search for similar items in EconPapers)
Date: 2009-06-05
Note: This module may be installed from within Stata by typing "ssc install mm_regress". Windows users should not attempt to download these files with a web browser.

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http://fmwww.bc.edu/repec/bocode/m/mmregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mmregress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mcd.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mcd.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mregress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/msregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/msregress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sregress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mmrobust_corr.pdf documentation (application/pdf)

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